| rlm {MASS} | R Documentation |
Fit a linear model by robust regression using an M estimator.
rlm(x, ...)
## S3 method for class 'formula':
rlm(formula, data, weights, ..., subset, na.action,
method = c("M", "MM", "model.frame"),
wt.method = c("inv.var", "case"),
model = TRUE, x.ret = TRUE, y.ret = FALSE, contrasts = NULL)
## Default S3 method:
rlm(x, y, weights, ..., w = rep(1, nrow(x)),
init, psi = psi.huber, scale.est, k2 = 1.345,
method = c("M", "MM"), wt.method = c("inv.var", "case"),
maxit = 20, acc = 1e-4, test.vec = "resid", lqs.control = NULL)
psi.huber(u, k = 1.345, deriv = 0)
psi.hampel(u, a = 2, b = 4, c = 8, deriv = 0)
psi.bisquare(u, c = 4.685, deriv = 0)
formula |
a formula of the form y ~ x1 + x2 + ....
|
data |
data frame from which variables specified in formula are
preferentially to be taken.
|
weights |
prior weights for each case. |
subset |
An index vector specifying the cases to be used in fitting. |
na.action |
A function to specify the action to be taken if NAs are found. The
default action is for the procedure to fail. An alternative is
na.omit, which leads to omission of cases with missing values on any
required variable.
|
x |
a matrix or data frame containing the explanatory variables. |
y |
the response: a vector of length the number of rows of x.
|
method |
currently either M-estimation or find the model frame. MM estimation is M-estimation with Tukey's biweight initialized by a specific S-estimator. See the details section. |
wt.method |
are the weights case weights (giving the relative importance of case, so a weight of 2 means there are two of these) or the inverse of the variances, so a weight of two means this error is twice as variable? |
model |
should the model frame be returned in the object? |
x.ret |
should the model matrix be returned in the object? |
y.ret |
should the response be returned in the object? |
contrasts |
optional contrast specifications: se lm.
|
w |
(optional) initial down-weighting for each case. |
init |
(optional) initial values for the coefficients OR a method to find
initial values OR the result of a fit with a coef component. Known
methods are "ls" (the default) for an initial least-squares fit
using weights w*weights, and "lts" for an unweighted
least-trimmed squares fit with 200 samples.
|
psi |
the psi function is specified by this argument. It must give
(possibly by name) a function g(x, ..., deriv) that for deriv=0
returns psi(x)/x and for deriv=1 returns psi'(x). Tuning constants
will be passed in via ....
|
scale.est |
method of scale estimation: re-scaled MAD of the residuals or Huber's
proposal 2 (which can be selected by either "Huber" or
"proposal 2").
|
k2 |
tuning constant used for Huber proposal 2 scale estimation. |
maxit |
the limit on the number of IWLS iterations. |
acc |
the accuracy for the stopping criterion. |
test.vec |
the stopping criterion is based on changes in this vector. |
... |
additional arguments to be passed to rlm.default or to the psi
function.
|
lqs.control |
An optional list of control values for lqs.
|
u |
numeric vector of evalation points. |
k,a,b,c |
tuning constants |
deriv |
0 or 1: compute values of the psi function or of its
first derivative.
|
Fitting is done by iterated re-weighted least squares (IWLS).
Psi functions are supplied for the Huber, Hampel and Tukey bisquare
proposals as psi.huber, psi.hampel and
psi.bisquare. Huber's corresponds to a convex optimization
problem and gives a unique solution (up to collinearity). The other
two will have multiple local minima, and a good starting point is
desirable.
Selecting method = "MM" selects a specific set of options which
ensures that the estimator has a high breakdown point. The initial set
of coefficients and the final scale are selected by an S-estimator
with k0 = 1.548; this gives (for n >> p) breakdown point 0.5.
The final estimator is an M-estimator with Tukey's biweight and fixed
scale that will inherit this breakdown point provided c > k0;
this is true for the default value of c that corresponds to
95% relative efficiency at the normal.
An object of class "rlm" inheriting from "lm".
The additional components not in an lm object are
s |
the robust scale estimate used |
w |
the weights used in the IWLS process |
psi |
the psi function with parameters substituted |
conv |
the convergence criteria at each iteration |
converged |
did the IWLS converge? |
P. J. Huber (1981) Robust Statistics. Wiley.
F. R. Hampel, E. M. Ronchetti, P. J. Rousseeuw and W. A. Stahel (1986) Robust Statistics: The Approach based on Influence Functions. Wiley.
A. Marazzi (1993) Algorithms, Routines and S Functions for Robust Statistics. Wadsworth & Brooks/Cole.
Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth edition. Springer.
data(stackloss) summary(rlm(stack.loss ~ ., stackloss)) rlm(stack.loss ~ ., stackloss, psi = psi.hampel, init = "lts") rlm(stack.loss ~ ., stackloss, psi = psi.bisquare)